kyllo
Joined 14 years ago
Joined 14 years ago
Right, but we didn't invest a trillion dollars of capital into any of those things in the span of a couple years, thus forcing them to capture value and show a return on such a massive investment.
But theoretically speaking, in a scientific context, why would you want to fit an explanatory model that includes multiple highly (but not perfectly) correlated independent variables?
It shouldn't be an accident. Usually it's because you've intentionally taken multiple proxy measurements of the same theoretical latent variable and you want to reduce measurement error. So that becomes a part of your measurement and modeling strategy.
Statistical modeling is done primarily in service of scientific discovery--for the purpose of making an inference (population estimate from a sample) or a comparison to test a hypothesis derived from a theoretical causal model of a real-world process before viewing data. The parameters of a model are interpreted because they represent an estimate of a treatment effect of some intervention.
Methods like PCA can be part of that modeling process either way, but analyzing and fitting models to data to mine it for patterns without an a priori hypothesis is not science.
https://mixtape.scunning.com/01-introduction#do-not-confuse-...